A training set is a portion of a data set used to fit (train) a model for prediction or classification of values that are known in the training set, but unknown in other (future) data. The training set is used in conjunction with validation and/or test sets that are used to evaluate different models.
Training sets are used in supervised learning procedures in data mining (i.e. classification of records, or prediction of target values that are continuous.)
See also this chapter in XLMiner help,